Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries

Giorgio Fagiolo (), Mauro Napoletano () and Andrea Roventini ()

No 36, Working Papers from Università di Verona, Dipartimento di Scienze economiche

Abstract: This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; (ii) the family of densities employed in the estimation; (iii) the length of time lags used to compute growth rates. We also show that fat tails still characterize output growth-rate distributions even after one washes away outliers, autocorrelation and heteroscedasticity.

Keywords: Output Growth-Rate Distributions; Normality; Fat Tails; Time Series; Exponential-Power Distributions; Laplace Distributions; Output Dynamics. (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mac
Date: 2006-10
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Related works:
Working Paper: Are Output Growth-Rate Distributions Fat-Tailed? Some Evidence from OECD Countries (2006)
Journal Article: Are output growth-rate distributions fat-tailed? some evidence from OECD countries (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ver:wpaper:36

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